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HI @evelyn.peng I do think my previous spreadsheet example is relevant at the link Nicole provided: https://forum.bionicturtle.com/threads/p1-t4-329-value-at-risk-var-versus-worst-case-scenarios-allen-3-3.7209/post-48492 ie.., ... the FRM has never taken a deep dive on worst case scenario (it...

Hi @sparty Yes, that is correct: Part 2 is only scored conditional on having passed Part 1, which can the morning before (ie, same day) or up to four years previously. To be candid, I'm not current on the latest candidate views about the tactics or experience of "same-day" P1+P2 attempts, but in...

Hi @sparty Nicole is likely to move this thread to the appropriate pre-existing FAQ, but I can quickly tell you that you are accurate, your recollection is correct: the FRM syllabus does not change from May to November within the calendar year (and we offer affordable extensions ....). For this...

Hi @Jaskarn this is a whole topic and I don't have current time to write a large fresh essay, but your good question reminded me actually of a great assignment from actually the 2009 syllabus (when this topic was super-hot, you can imagine!). It is one of the best things I've read in terms of...

Hi @Vaishnevi I don't grok the exact numerical context (ie, where the 0.69 comes from) but I'm familiar with the formula: it's translating a one-sided acceptance region into a two-sided acceptance region (and the backtest is typically two-sided, unlike VaR which is always one-sided). What I...

Hi @Jaskarn Yes, you are correct! Sorry, it's my mistake (apologies!). The solutions are are correct (as this matches Tuckman's tree in Chapter 8, as we can see from the underlying XLS here https://www.dropbox.com/s/ykjc72t7bdjlodm/012319-tuckman-tree-error.xlsx?dl=0) but the interim calculation...

Hi @Jose V I'm not sure it's explicitly in a study note (we should add to the formula sheet revision, however ....). I think I derived it somewhere in the forum almost a decade ago (ha), but it's also based on Tuckman 4.45 (which in turn makes use of his own formula 4.37), please see (4.45)...

Hi @valenski Our Resources are organized by topic, so a PDF copy of Diebold (not the solutions, yet ...) is located in T2 @ https://forum.bionicturtle.com/resources/categories/frm-p1-t2-quant.4/ ... and specifically https://forum.bionicturtle.com/resources/elements-of-forecasting.109/ I hope...

Hi @valenski I don't have any great textbooks in mind to "replace" Diebold as a introduction; in my estimation, if a holistic introduction is desired, then a fine thing to do is simply start with Diebold Chapter 1 and continue (it's not a terrible book on the topic. In my opinion, the...

@FRM candidate okay, then I've moved your question to a pre-existing thread where I've not only answered the question, I created a spreadsheet (see above) for it! To be honest, it has taken me almost more time to figure out what you are asking and locate the pre-existing answer than it was to...

Hi @valenski Diebold's EOC questions are atypical (sui generis) for syllabus reading assignments in the FRM. Although we do have the solutions manual, Diebold's EOC questions are difficult--often very difficult--and lab-type such they often require working with a dataset. Many of them go...

@Flashback It is due to the history: when we started training the FRM circa 2005, GARP's solution (to the problem: what is the 95.0% basic HS VaR of 100 observations?) was the 5th-worst because that's Jorion's answer. But the syllabus assignment for basic HS was (and is) Kevin Dowd, who explains...

HI @sumitmaan19 Three of my videos in our recent P1.T1. playlist might be helpful, esp T1-8 and T1-9. Your (1) is consistent with the definition given by Elton: "First, we have shown that, under the assumptions of the CAPM, the only portfolio of risky assets that any investor will own is the...

@FRM candidate You posted this in T7.517, where it doesn't seem to directly relate, I don't know to what question you are referring (15.6?)

Hi @Ahasar Last month @Nicole Seaman shared her annual update, 2018/2019 Curriculum Change Analysis Spreadsheet: https://forum.bionicturtle.com/threads/2018-2019-curriculum-change-analysis-spreadsheet.22025/

Hi @anisapassfrm Yes GARP provides standard normal lookups (aka, Z table) on the exam. The other tables to which you refer will not be provided (or are unlikely to be provided) except on a need-to-know basis. Obviously GARP cannot expect you to have chi-squared values memorized :rolleyes...

Hi @Amarnadh D We are not supposed to opine specifically, apologies; it could create tension if a candidate referred back to our opinion, as you can imagine. That said, you obviously have several years of related (aka, relevant) experience. I personally cannot imagine you not qualifying, is as...

Hi @Jaskarn Good for you for thinking it out and challenging the idea, these are difficult. Please notice that we cannot easily compare volatility to the strike price; e.g., it's hard to compare K = $50.00 to σ = 25.0%. Say you write (sell) me an out-of-the-money (OTM) put for a price (premium)...

Hi @theapplecrispguy When you say "study notes," I don't know what you mean in this context (and it's time-consuming for me to search through our notes to try and figure out to what you are referring. It would be helpful if you can be more specific in the future. I can't find the reference to...

@VWJETTY Not sure what you mean. Bodie 10 is all about APT (the initial sections are setup/foundation for APT). GARP's LOs don't explicate "APT" until the final "Describe the Arbitrage Pricing Theory (APT) ..." because it's implicit throughout. The questions are all based on the same Chapter...